Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0271
Annualized Std Dev 0.2464
Annualized Sharpe (Rf=0%) -0.1100

Row

Daily Return Statistics

Close
Observations 4399.0000
NAs 1.0000
Minimum -0.1908
Quartile 1 -0.0055
Median 0.0005
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0062
Maximum 0.1993
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0005
Variance 0.0002
Stdev 0.0155
Skewness -1.1602
Kurtosis 29.1070

Downside Risk

Close
Semi Deviation 0.0117
Gain Deviation 0.0110
Loss Deviation 0.0142
Downside Deviation (MAR=210%) 0.0160
Downside Deviation (Rf=0%) 0.0117
Downside Deviation (0%) 0.0117
Maximum Drawdown 0.7889
Historical VaR (95%) -0.0211
Historical ES (95%) -0.0387
Modified VaR (95%) -0.0211
Modified ES (95%) -0.0211
From Trough To Depth Length To Trough Recovery
2007-01-03 2009-03-09 NA -0.7889 3579 549 NA
2004-03-11 2004-05-10 2005-08-02 -0.2097 352 42 310
2005-09-13 2005-10-20 2006-01-03 -0.1019 78 28 50
2006-05-12 2006-06-22 2006-07-07 -0.0574 39 29 10
2006-07-10 2006-07-14 2006-08-14 -0.0569 26 5 21

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2003 NA NA NA NA NA NA NA NA 0 0 0.2 1.3 1.5
2004 0 0 0.3 0 2.4 0.5 0.3 0.5 0.7 -0.2 0.5 0.5 5.6
2005 -0.1 1.2 0.5 1.2 0.6 0.3 0.3 1.6 -0.8 -1.1 -0.1 0.7 4.3
2006 1.1 -0.3 -0.1 0.8 0.8 1.7 0.2 1.4 -0.5 -0.5 -2.3 0.3 2.7
2007 0.7 0.8 -0.4 -0.1 1 -1 -0.4 1.6 2.4 -1.3 1.1 -0.3 4.1
2008 2.8 -1.3 3.5 1.6 0.4 -0.1 -0.1 0.6 2.5 2.5 -9.9 4.5 6.2
2009 -2.5 -1.1 0.4 0.6 1.8 1.7 0.4 -2 -2 -2.4 1 -0.1 -4.4
2010 2 -0.5 0.3 -2.1 -0.7 -0.1 0.8 2.1 0.7 1.2 0.2 -0.5 3.3
2011 0.3 -1.5 0.7 -0.1 -1.6 1.5 0 -0.8 -0.2 -3.1 -0.6 -2.6 -7.8
2012 0.4 0.3 0.4 1.1 -2.1 1.9 0.2 0.4 0.6 1.9 -0.2 0.5 5.5
2013 0.5 0.4 -0.2 0.1 -2 1.3 -0.6 0 0.8 -1.1 0.5 0.1 -0.1
2014 -0.3 0.7 0.5 0 -0.2 0.4 -1.4 0.6 -0.6 0.5 0.1 -1.1 -0.9
2015 -1.6 0.3 -0.6 0.6 -0.3 0.6 -0.1 -1.8 -0.2 0.4 0.5 0.3 -2
2016 0.3 1.8 -0.1 0.1 0.6 0.4 -0.6 -0.3 0.5 -1.6 -0.3 -0.4 0.5
2017 -0.5 0.4 0.4 -0.2 0.2 1.2 0.3 0.2 0.7 0.4 0 0 3.2
2018 -0.2 -0.6 1.7 0.7 0 0.3 -0.1 -0.1 0.7 0.6 0.2 2.4 5.8
2019 -0.3 -1 0.7 1 -0.7 0.4 2.3 0.1 -1.3 -0.1 0.1 0.6 1.7
2020 -1.2 -3.6 -7.8 -1.7 0.3 1.7 -1 0.4 1.3 -1.6 -0.1 0.8 -12.3
2021 1 1.1 0.5 NA NA NA NA NA NA NA NA NA 2.7

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart